Online Portfolio Selection with Cardinality Constraint and Transaction Costs based on Contextual Bandit

Mengying Zhu, Xiaolin Zheng, Yan Wang, Qianqiao Liang, Wenfang Zhang. Online Portfolio Selection with Cardinality Constraint and Transaction Costs based on Contextual Bandit. In Christian Bessiere, editor, Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence, IJCAI 2020 [scheduled for July 2020, Yokohama, Japan, postponed due to the Corona pandemic]. pages 4682-4689, ijcai.org, 2020. [doi]

Abstract

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